A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Efficient semi-analytic methods for pricing double barrier options with time-dependent parameters.
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for products of both types and depends on an efficient interpolation of observed market option pricing. Pricing products We discuss the pricing metho…
Path integral method calculates PDBS option prices with time-dependent parameters.
IPMs struggle with hyperbolic spaces due to polynomially growing barrier parameters.
We say that a topologically embedded 3-sphere in a smoothing of Euclidean 4-space is a barrier provided, roughly, no diffeomorphism of the 4-manifold moves the 3-sphere off itself. In this paper we construct infinitely many one parameter families of distinct smoothings of 4-space with barrier 3-spheres. \par The existe…
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process…
New method for efficient pricing of double barrier options in Lévy models.
New method tackles bilevel optimization with polyhedral constraints.
New study reveals a polynomial penalty for adapting to unknown margin parameters in batched nonparametric bandits.
Study efficient pricing for barrier options in stochastic-volatility models with leverage correction.
In this paper we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an explicit semi-analytical expression for the first-passage probability. The solution rests on a randomization and an explicit matrix Wiener-Ho…
Paper extends Lévy models with memory to better price FX double barrier options.
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is meaningful in the real world where option prices are always determined within a certain l…
Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. T…
Improved MLMC method for barrier options with non-Lipschitz coefficients.
In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with hyper-exponential jumps. In…
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process is provided explicitly or by an indirect numerical method. This will be applied …
Improved Langevin Monte Carlo reduces energy barriers for faster optimization.
The paper calculates prices for multi-step barrier options under the Black-Scholes model.
Fast method developed for pricing barrier options and joint Lévy process distributions.
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm uses the weak Euler approximation far from barriers and a special construction motivated by linear interpolation of the price near barriers. I…
Neural networks' optimization dynamics are confined to a single basin despite connected basins in the loss landscape.
A new method uses deep learning to price barrier options.
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose …
A time-dependent double-barrier option is a derivative security that delivers the terminal value at expiry if neither of the continuous time-dependent barriers $b_\pm:[0,T]\to \RR_+$ have been hit during the time interval . Using a probabilistic approach we obtain a decomposition of the barrier opti…
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relati…
Hamiltonian method applied to floating barrier options pricing.
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some constant. The utility function destroys the linearity and the time homogeneity of …
Deep learning solves barrier options with stochastic volatility.
Unified pricing method for FX options with barriers.
Root's barrier is continuous and finite under certain conditions.
Path integral method calculates barrier option prices.
This paper deals with a high-order accurate implicit finite-difference approach to the pricing of barrier options. In this way various types of barrier options are priced, including barrier options paying rebates, and options on dividend-paying-stocks. Moreover, the barriers may be monitored either continuously or disc…
Research provides explicit NPV expressions for double barrier strategies.
New symplectic barriers found in ball embeddings.
We prove that the leaves of an inverse mean curvature flow provide a foliation of a future end of a cosmological spacetime under the necessary and sufficent assumptions that satisfies a future mean curvature barrier condition and a strong volume decay condition. Moreover, the flow parameter can be used to d…
Study path-dependent affine models under uncertain parameters for financial applications.
Paper applies subdiffusive dynamics to American and barrier options pricing.
Proximal policy optimization(PPO) has been proposed as a first-order optimization method for reinforcement learning. We should notice that an exterior penalty method is used in it. Often, the minimizers of the exterior penalty functions approach feasibility only in the limits as the penalty parameter grows increasingly…
Optimal dividends strategy in a two-state regime-switching environment.
Barrier options are one of the most widely traded exotic options on stock exchanges. In this paper, we develop a new stochastic simulation method for pricing barrier options and estimating the corresponding execution probabilities. We show that the proposed method always outperforms the standard Monte Carlo approach an…
We consider the mean curvature flow of compact convex surfaces in Euclidean -space with free boundary lying on an arbitrary convex barrier surface with bounded geometry. When the initial surface is sufficiently convex, depending only on the geometry of the barrier, the flow contracts the surface to a point in finite…
We use Lie symmetry methods to price certain types of barrier options. Usually Lie symmetry methods cannot be used to solve the Black-Scholes equation for options because the function defining the maturity condition for an option is not smooth. However, for barrier options, this restriction can be accommodated and a sy…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular atten…
We show that if is a convex class of functions that is -subgaussian, the error rate of learning problems generated by independent noise is equivalent to a fixed point determined by `local' covering estimates of the class, rather than by the gaussian averages. To that end, we establish new sharp upper and lower e…
We derive a forward equation for arbitrage-free barrier option prices, in terms of Markovian projections of the stochastic volatility process, in continuous semi-martingale models. This provides a Dupire-type formula for the coefficient derived by Brunick and Shreve for their mimicking diffusion and can be interpreted …
This note re-addresses the Paris barrier options proposed by Yor and collaborators and their valuation using the Laplace transform approach. The notion of Paris barrier options, based on excursion theory and using the Brownian meander, is extended such that their valuation is now possible at any point during their life…
New formulas for barrier options in stochastic volatility models with nonzero correlation.